Book excerpt: This book contributes to empirical finance by comprehensively analysing an emerging stock market, employing modern econometric techniques. The most central and fascinating area of financial economics is probably the efficiency and volatility of the stock market – however, studies of emerging economies are relatively limited in this area. The rising importance of stock market globalisation has increased interest in emerging markets. This book leads the way for an emerging market perspective, as it explores the issue of efficiency and volatility of the stock market in Bangladesh by employing both univariate and multivariate models, using daily data of past share prices and monthly data of macroeconomic variables and the stock index, respectively. This book offers an understanding of the crucial issues facing developing economies, particularly emerging stock markets with similar characteristics to those of Bangladesh. This book undoubtedly provides valuable information for investors in the stock market, graduate, post-graduate, and PhD students in quantitative financial economics, academics in economics and finance, and policymakers in developing economies.